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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

Template C 105.01 for 2017 exercise (end 2016 data)

According to the 2017 exercise related to “Low Default Portfolios”, entities shall submit Template C 105.01. Given the specific characteristics of these portfolios (low default), information regarding to “default rate”, “cure rate”, etc. is not used in the estimation. Therefore, estimation is based on external information. Overall, are these fields mandatory to report in Template C 105.01? And if so, which ratios should be included?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2016_3069
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

RWA Standardised (c180 of C 102.00 and C 103.00)

According to Article 7 of Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016: “As a derogation from Article 2 and until 31 December 2016 an institution shall not be required to report c180 of templates 102 and 103 of Annex III where that institution does not compute the own funds requirements for credit risk resulting from the application of the standardised approach”. Are RWA Standardised exempted from the reporting by 11 April 2017 in Template C 102.00, given that information is referred to 31 December 2016?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
  • ID: 2016_3068
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Funded and unfunded credit protection

In cases when a contract has funded and unfunded credit protection, should any of them take precedence over the other? For example, a contract with an exposure of 100, a funded credit protection of 50 and unfunded of 70. If there is no preference, the sum of credit protections is more than exposure, but if funded credit protection takes precedence over unfunded, the result is the next: funded credit protection of 50, 35 unfunded (70% of 50) and 15 without credit protection. In the last case, the sum is the exposure. How should we treat these guarantees?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2016_3067
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Report of Type of Facility

Definition of Low Default Portfolios in C 102.00 requires classifying portfolios by Type of Facility. In order to do this we evaluate two main options.The first one consists of assigning each value of Type of Facility in accordance with the global product, so an entire contract will be classified into a unique value of that field.The second one consists of assigning on-balance amount of a contract as “Drawn” and the off-balance amount in any of the 6 remaining options for “Undrawn facilities”.What is the more adequate way to operate?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
  • ID: 2016_3066
  • Topic: Supervisory reporting - Supervisory Benchmarking
  • Date of submission:

Exposures towards QCCPs under CRR Art. 306(c) under standardised method

Under Article 306(c) CRR, client transactions facing QCCPs where the institution is not liable to the client if said QCCP defaults, should have Exposure Value (C 07.00, column {200}, rows {100}, {120})of zero. Our understanding of the ITS on Supervisory Reporting is that the Original exposure pre conversion factors (C 07.00, column {010}, rows {100}, {120}) of the transactions in question should hence also be zeroed out. The institution is currently reporting the Original exposure pre conversion factors as non-zero. To avoid the blocking errors mentioned below, the institution reports the Exposure Value also as non-zero, which is contrary to Article 306(c) CRR. Could you please confirm if our understanding of the ITS is correct?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2016_3064
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Multiplier of 1.25 to the asset value correlation

In case of an exposure to a regulated financial sector entity which does not meet the requirements to be treated like a large financial sector entity (with total assets of less than 70 billion of euros), but which is owned by a regulated large financial sector entity which meets those requirements, does the multiplier of 1.25 to the asset value correlation apply for that exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3057
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 08/06/2018

Basis of risk exposures to take in consderation for calculation of the countercyclical buffer (CcyB)

Should the risk exposure basis to take in consideration for calculation of CCyB be limited to the "relevant exposures" (as defined in Article 140(4) of Directive 2013/36/EU (CRD)) which are considered for assessment of the institution-specific CCyB rate?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3055
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 21/04/2017

Calculation of the Countercyclical Capital Buffer

Consider a corporate (geographical location DE) exposure guaranteed by a sovereign (geographical location NL).1) Do the CRM techniques with substitution effect (e.g. guarantees) impact the scoping of relevant exposures for the purposes of the Countercyclical Buffer? E.g. should a corporate exposure with a sovereign guarantee be considered a relevant exposure as sovereign exposures are not considered relevant in accordance with Article 140 of the Directive 2013/36/EU (CRD).2) If the exposure is considered relevant, should CRM techniques with substitution effects be taken into account for the purposes of the calculation of the capital requirements for the purposes of the determination of the weighted average referred to in Article 140(1) CRD? E.g. can a sovereign guarantee be taken into account in the calculation of the capital requirement for a corporate exposure with a sovereign guarantee?3) Article 84 of the (draft) ITS 2014/680 Annex 2 (as revised on 8 March 2016) requires geographical allocation on immediate obligor basis, i.e. any CRM (e.g. cross-border guarantee) should not change the geographical location to the location of the CRM provider. The BCBS FAQ on the Basel III Countercyclical Capital Buffer requires the usage of ‘jurisdiction of ultimate risk’, which substitutes the exposure to the location of the CRM provider. Can you please clarify which geographical location should be used for calculation and reporting of the CCyB and template C09.04?

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1152/2014 - RTS on the identification of the geographical location of relevant credit exposures for institution-specific countercyclical capital buffer rate
  • ID: 2016_3050
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 16/06/2017

Use of bona fide estimates for the determination of the size of a corporation

Is it allowed to use bona fide estimates for the determination of the size of a corporation for the purposes of Articles 153(4) or 162(4) CRR (identification of SMEs) analogous to Article 4(3) of the Annex Commission Recommendation 2003/361/EC? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3049
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/06/2017

Treatment of central bank reserves in third countries

What is the treatment of central bank reserves in third countries held by a branch?Does the eligibility of those reserves for the purpose of the LCR strictly depend on the existence of an agreement between the competent authority of the reporting institution and the central bank in which the conditions of a withdrawal have been specified?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2016_3048
  • Topic: Liquidity risk
  • Date of submission:

Template C 47.00, rows 270 and 280 (Validation rule v4452_s) – treatment of Cash Flow Hedge reserves

The validation rule v4452_s requires that the rows 270 and 280 of the template C 47.00 are always non-positive. This appears to be incorrect. In case of prudential filters increasing the Tier 1 capital, the amounts reported on these rows can be positive as well. Can you please confirm and amend the rule?Should the leverage exposure be adjusted for the complete cash flow hedging reserve or should the reserve be split to parts relating to assets/liabilities and only the part relating to assets be adjusted for (even though the full reserve is filtered from capital)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2016_3043
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Recapitalization

Are capital increases of a subsidiary meeting the conditions for early intervention by the mother company covered by the BRRD provisions on intragroup financial support?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3042
  • Topic: Intra-group financial support
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exception to the scope of the bail-in tool (Article 44(2)(g)(iii))

Is the exception to the scope of the bail-in tool provided for in Article 44(2)(g)(iii) of Directive 2014/59/EU (BRRD) restricted to social security contributions, or does it also extend to deposits and reserves of a social security authority?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3041
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 21/01/2022

Fiduciary relationship

What is a “fiduciary relationship” according to Directive 2014/59/EU (BRRD)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3040
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as final Q&A: 21/01/2022

Systemic risk buffer requirement calculation

1) What is the definition of the term “exposure” in Article 133 (3) CRD IV? What is the base for the calculation of systemic risk buffer requirement? In case systemic risk buffer applies to all exposures regardless the location of the exposure, is it total risk weighted exposure according to Article 92 (3) CRR? How should the systemic risk buffer be computed by the institution, since there is no further guidance? What is the definition for „exposures located in the Member State that sets that buffer“? Is the term „exposure“ referring to: - (credit) exposures according Article 111 of Regulation 575/2013 - (credit) risk weighted exposures according to Article 113 of Regulation 575/2013 - the subset of aforementioned, for example relevant credit exposures according to Article 140(4) - total risk exposure according to Article 92 (3) of Regulation 575/2013 - or otherwise? 2) What is the definition of term „located in the Member State“. Can the guidance introduced in DR No 1152/2014 be applied also for systemic risk buffer, although it is issued primarily for countercyclical capital buffer?And in case the systemic risk buffer applies to all exposures located in the Member State that sets systemic risk buffer, but does not apply to exposures outside the Member State, how the systemic risk buffer requirement should be calculated? Does the term “exposures located in the Member State” include only credit exposures located in the Member state following CCyB treatment in article 140 (4) CRD? Or under the term “exposures” shall be included also exposures to other risks (e.g. operational risk)? 

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3037
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 30/06/2017

Thresholds for Common Equity Tier 1

CET1 threshold amounts are requested to report in the CA4 template (C 04.00) in the ID items 8 and 9. On which calculation basis shall the threshold amounts be reported in these items, based on the fully phased-in definition or the transitional definition?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2016_3035
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 07/04/2017

Template F 31.00 Related parties column 010 and column 020.

How should be performed the split between column 010– “Parent and entities with joint control or significant influence”- and column 20 “Subsidiaries and other entities of the same group”? In column 010 – “Parent and entities with joint control or significant influence”, should be reported only the balances with our Head Office or also should be included the upper hierarchy level of our shareholder and their related group entities? In column 020 – “Subsidiaries and other entities of the same group”, should be reported only our affiliates or also should be included the upper hierarchy level of our shareholders and their related group entities?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2016_3032
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 04/10/2019

Necessary prior authorisation in Article 60

Can you please clarify what is meant by "the necessary prior authorization" referred to in Article 60 of Directive 2014/59/EU (BRRD)?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3031
  • Topic: Write-down and conversion of capital instruments
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Deposits covered by third country deposit guarantee schemes

Are "covered deposits" as defined in Article 2(1)(94) of Directive 2014/59/EU (BRRD) only deposits covered by EEA Deposit Guarantee Schemes?

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_3029
  • Topic: Resolution tools and powers
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Cross-Product Netting

Can a Bank with a netting set to a QCCP counterparty combining cash instruments (already settled) with derivatives apply the cross-product netting?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
  • ID: 2016_3028
  • Topic: Leverage ratio
  • Date of submission:
  • Published as final Q&A: 21/04/2017